All Outputs (2)

Extreme downside risk and market turbulence (2019)
Journal Article
Harris, R. D. F., Nguyen, L. H., & Stoja, E. (2019). Extreme downside risk and market turbulence. Quantitative Finance, 19(11), 1875-1892. https://doi.org/10.1080/14697688.2019.1614652

We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk-return... Read More about Extreme downside risk and market turbulence.

Systematic Extreme Downside Risk (2019)
Journal Article
Harris, R. D. F., Nguyen, L. H., & Stoja, E. (2019). Systematic Extreme Downside Risk. Journal of International Financial Markets, Institutions and Money, 61, 128-142. https://doi.org/10.1016/j.intfin.2019.02.007

We propose new systematic tail risk measures constructed using two different approaches. The first is a non-parametric measure that captures the tendency of a stock to crash at the same time as the market, while the second is based on the sensitivity... Read More about Systematic Extreme Downside Risk.